high performance computing on graphics processing units: hgpu.org

Monte-Carlo (MC) simulation is an effective tool for solving complex problems such as many-body simulation, exotic option pricing and partial differential equation solving. The huge amount of computation in MC makes it a good candidate for acceleration using hardware and distributed computing platforms. We propose a novel MC simulation framework suitable for a wide range of problems. This framework enables different hardware accelerators in a multi-accelerator heterogeneous cluster to work collaboratively on a single application. It also provides scheduling interfaces to adaptively balance the workload according to the cluster status. Two financial applications, involving asset simulation and option pricing, are built using this framework to demonstrate its capability and flexibility. A cluster with 8 Virtex-5 xc5vlx330t FPGAs and 8 Tesla C1060 GPUs using the proposed framework provides 44 times speedup and 19.6 times improved energy efficiency over a cluster with 16 AMD Phenom 9650 quad-core 2.4GHz CPUs for the GARCH asset simulation application. The Efficient Allocation Line (EAL) is proposed for determining the most efficient allocation of accelerators for either performance or energy consumption.